/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.bond;
import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import java.io.Serializable;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableValidator;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.light.LightMetaBean;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.ObservableSource;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.pricer.bond.LegalEntityGroup;
import com.opengamma.strata.pricer.bond.RepoGroup;
import com.opengamma.strata.product.SecurityId;
/**
* The legal entity discounting lookup, used to select curves for pricing.
* <p>
* This provides access to repo and issuer curves.
* <p>
* The lookup implements {@link CalculationParameter} and is used by passing it
* as an argument to {@link CalculationRules}. It provides the link between the
* data that the function needs and the data that is available in {@link ScenarioMarketData}.
*/
@BeanDefinition(style = "light")
final class DefaultLegalEntityDiscountingMarketDataLookup
implements LegalEntityDiscountingMarketDataLookup, ImmutableBean, Serializable {
/**
* The groups used to find a repo curve.
* <p>
* This maps either the security ID or the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<StandardId, RepoGroup> repoCurveGroups;
/**
* The repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<Pair<RepoGroup, Currency>, CurveId> repoCurves;
/**
* The groups used to find an issuer curve.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<StandardId, LegalEntityGroup> issuerCurveGroups;
/**
* The issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurves;
/**
* The source of market data for quotes and other observable market data.
*/
@PropertyDefinition(validate = "notNull")
private final ObservableSource observableSource;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a maps for repo and issuer curves.
* <p>
* Both the repo and issuer curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveGroups the repo curve groups, mapping security or issuer ID to group
* @param repoCurveIds the repo curve identifiers, keyed by security ID or issuer ID and currency
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @param obsSource the source of market data for quotes and other observable market data
* @return the rates lookup containing the specified curves
*/
public static DefaultLegalEntityDiscountingMarketDataLookup of(
Map<StandardId, RepoGroup> repoCurveGroups,
Map<Pair<RepoGroup, Currency>, CurveId> repoCurveIds,
Map<StandardId, LegalEntityGroup> issuerCurveGroups,
Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurveIds,
ObservableSource obsSource) {
return new DefaultLegalEntityDiscountingMarketDataLookup(
repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource);
}
@ImmutableValidator
private void validate() {
Set<RepoGroup> uniqueRepoGroups = new HashSet<>(repoCurveGroups.values());
Set<RepoGroup> uniqueRepoCurves = repoCurves.keySet().stream().map(p -> p.getFirst()).collect(toImmutableSet());
if (!uniqueRepoCurves.containsAll(uniqueRepoGroups)) {
throw new IllegalArgumentException(
"Repo curve groups defined without matching curve mappings: " +
Sets.difference(uniqueRepoGroups, uniqueRepoCurves));
}
Set<LegalEntityGroup> uniqueIssuerGroups = new HashSet<>(issuerCurveGroups.values());
Set<LegalEntityGroup> uniqueIssuerCurves = issuerCurves.keySet().stream().map(p -> p.getFirst()).collect(toImmutableSet());
if (!uniqueIssuerCurves.containsAll(uniqueIssuerGroups)) {
throw new IllegalArgumentException(
"Issuer curve groups defined without matching curve mappings: " +
Sets.difference(uniqueIssuerGroups, uniqueIssuerCurves));
}
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(SecurityId securityId, StandardId issuerId, Currency currency) {
// repo
RepoGroup repoKey = repoCurveGroups.get(securityId.getStandardId());
if (repoKey == null) {
repoKey = repoCurveGroups.get(issuerId);
}
if (repoKey == null) {
throw new IllegalArgumentException(Messages.format(
"Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency));
if (repoCurveId == null) {
throw new IllegalArgumentException(Messages.format(
"Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
// issuer
LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId);
if (issuerKey == null) {
throw new IllegalArgumentException(Messages.format(
"Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency));
if (issuerCurveId == null) {
throw new IllegalArgumentException(Messages.format(
"Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
// result
return FunctionRequirements.builder()
.valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId))
.outputCurrencies(currency)
.observableSource(observableSource)
.build();
}
//-------------------------------------------------------------------------
@Override
public LegalEntityDiscountingProvider discountingProvider(MarketData marketData) {
return DefaultLookupLegalEntityDiscountingProvider.of(this, marketData);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code DefaultLegalEntityDiscountingMarketDataLookup}.
*/
private static MetaBean META_BEAN = LightMetaBean.of(DefaultLegalEntityDiscountingMarketDataLookup.class);
/**
* The meta-bean for {@code DefaultLegalEntityDiscountingMarketDataLookup}.
* @return the meta-bean, not null
*/
public static MetaBean meta() {
return META_BEAN;
}
static {
JodaBeanUtils.registerMetaBean(META_BEAN);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private DefaultLegalEntityDiscountingMarketDataLookup(
Map<StandardId, RepoGroup> repoCurveGroups,
Map<Pair<RepoGroup, Currency>, CurveId> repoCurves,
Map<StandardId, LegalEntityGroup> issuerCurveGroups,
Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurves,
ObservableSource observableSource) {
JodaBeanUtils.notNull(repoCurveGroups, "repoCurveGroups");
JodaBeanUtils.notNull(repoCurves, "repoCurves");
JodaBeanUtils.notNull(issuerCurveGroups, "issuerCurveGroups");
JodaBeanUtils.notNull(issuerCurves, "issuerCurves");
JodaBeanUtils.notNull(observableSource, "observableSource");
this.repoCurveGroups = ImmutableMap.copyOf(repoCurveGroups);
this.repoCurves = ImmutableMap.copyOf(repoCurves);
this.issuerCurveGroups = ImmutableMap.copyOf(issuerCurveGroups);
this.issuerCurves = ImmutableMap.copyOf(issuerCurves);
this.observableSource = observableSource;
validate();
}
@Override
public MetaBean metaBean() {
return META_BEAN;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets the groups used to find a repo curve.
* <p>
* This maps either the security ID or the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @return the value of the property, not null
*/
public ImmutableMap<StandardId, RepoGroup> getRepoCurveGroups() {
return repoCurveGroups;
}
//-----------------------------------------------------------------------
/**
* Gets the repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
* @return the value of the property, not null
*/
public ImmutableMap<Pair<RepoGroup, Currency>, CurveId> getRepoCurves() {
return repoCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the groups used to find an issuer curve.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
* @return the value of the property, not null
*/
public ImmutableMap<StandardId, LegalEntityGroup> getIssuerCurveGroups() {
return issuerCurveGroups;
}
//-----------------------------------------------------------------------
/**
* Gets the issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
* @return the value of the property, not null
*/
public ImmutableMap<Pair<LegalEntityGroup, Currency>, CurveId> getIssuerCurves() {
return issuerCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the source of market data for quotes and other observable market data.
* @return the value of the property, not null
*/
public ObservableSource getObservableSource() {
return observableSource;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
DefaultLegalEntityDiscountingMarketDataLookup other = (DefaultLegalEntityDiscountingMarketDataLookup) obj;
return JodaBeanUtils.equal(repoCurveGroups, other.repoCurveGroups) &&
JodaBeanUtils.equal(repoCurves, other.repoCurves) &&
JodaBeanUtils.equal(issuerCurveGroups, other.issuerCurveGroups) &&
JodaBeanUtils.equal(issuerCurves, other.issuerCurves) &&
JodaBeanUtils.equal(observableSource, other.observableSource);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurveGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(observableSource);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("DefaultLegalEntityDiscountingMarketDataLookup{");
buf.append("repoCurveGroups").append('=').append(repoCurveGroups).append(',').append(' ');
buf.append("repoCurves").append('=').append(repoCurves).append(',').append(' ');
buf.append("issuerCurveGroups").append('=').append(issuerCurveGroups).append(',').append(' ');
buf.append("issuerCurves").append('=').append(issuerCurves).append(',').append(' ');
buf.append("observableSource").append('=').append(JodaBeanUtils.toString(observableSource));
buf.append('}');
return buf.toString();
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}